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On the estimation of extreme values for risk assessment and management : the ACER method
Dahlen, Kai Erik; Solibakke, Per Bjarte; Westgaard, Sjur; … - In: International journal of business 20 (2015) 1, pp. 33-51
Persistent link: https://www.econbiz.de/10010520743
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Forecasting volatility and tail risk in electricity markets
Naimoli, Antonio; Storti, Giuseppe - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-17
This paper investigates the benefits of jointly using several realized measures in predicting daily price volatility, Value-at-Risk, and Expected Shortfall in the Australian electricity markets of New South Wales, Queensland, and Victoria. We propose using Realized GARCH-type models with...
Persistent link: https://www.econbiz.de/10012622471
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Three empirical essays on the informational content of financial prices
Bernoth, Kerstin - 2004
Persistent link: https://www.econbiz.de/10002524759
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La substitution progressive de la Main Visible au marché : l'effet des politiques de décarbonation das systèmes électriques européens
Finon, Dominique - In: Énergie, l'Union Européenne à la croisée des chemins, (pp. 253-273). 2013
Persistent link: https://www.econbiz.de/10009760442
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Joint price and volumetric risk in wind power trading : a copula approach
Pircalabu, A.; Hvolby, T.; Jung, J.; Høg, E. - In: Energy economics 62 (2017), pp. 139-154
Persistent link: https://www.econbiz.de/10011748068
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Retailer value-at-risk in interconnected power markets : an Australian empirical analysis
Handika, Rangga; Triandaru, Sigit - In: International journal of economics and financial issues … 6 (2016) 6, pp. 6-9
Persistent link: https://www.econbiz.de/10011782375
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Forecasting time-varying covariance matrices in intradaily electricity spot prices
León Valle, Ángel Manuel (contributor);  … - 2002 - [Elektronische Ressource], 1. ed
Persistent link: https://www.econbiz.de/10001696018
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Tail risk of electricity futures
Peña Sánchez de Rivera, Juan Ignacio; Rodríguez, Rosa; … - In: Energy economics 91 (2020), pp. 1-16
Persistent link: https://www.econbiz.de/10012518716
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A regime-switching stochastic volatility model for forecasting electricity prices
Exterkate, Peter; Knapik, Oskar - 2017
Persistent link: https://www.econbiz.de/10011624014
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Do jumps matter for volatility forecasting? : evidence from energy markets
Prokopczuk, Marcel; Symeonidis, Lazaros; Wese Simen, Chardin - In: The journal of futures markets 36 (2016) 8, pp. 758-792
Persistent link: https://www.econbiz.de/10011568562